Xetra Instrument Reference Data Guide Version 1.0 Date 21 September 2018
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Abstract This document provides an overview about the instrument reference data for Xetra customers on T7. Keywords Xetra, T7, Reference Data Interface, Reference Data File, Common Report Engine, Static Files 3
Table of Contents 1 List of Abbreviations, Acronyms and Definitions 5 2 Introduction 6 3 Change Log 7 4 Further reading 9 5 Public website 10 Formatting of the file 10 File Record Layout 10 6 Static Files 16 Formatting of the files 16 Order Profile 17 Order Profile Assignment 18 Trading Schedules 19 Trading Schedule Assignment 20 Market Segment and Market Segment Supplement 20 TES Profiles 21 Security Sub Types 22 4
1 List of Abbreviations, Acronyms and Definitions Please find a list of all the abbreviations used in the document. CRE CSV ETC ETF ETN MIC RDF RDI T7 TES Common Report Engine Comma-separated-values Exchange Traded Commodities Exchange Traded Funds Exchange Traded Notes Market Identifier Code Reference Data File Reference Data Interface Trading System developed by Deutsche Börse Group T7 Entry Service 5
2 Introduction T7 for Cash Market offers instrument reference data on four different sources: Common Report Engine: On the Common Report Engine the Reference Data File (T7 RDF) is available containing all tradable instruments for the current business day. It is generated one time per day and its creation is on each Start-Of-Day. For more information, please refer to T7 Market & Reference Data Interfaces on the path Xetra.com / Technology / T7 trading architecture / System documentation / Release 7.0 / Market and Reference Data Interfaces Please find more details about the Common Report Engine on the document Common Report Engine User Guide in the following path Xetra.com / Technology / T7 trading architecture / System documentation / Release 7.0 / Reports / Common Report Engine User Guide Reference Data Interface (T7 RDI): This interface provides products and instruments reference data which are available for trading on T7. For more information, please refer to T7 Market & Reference Data Interfaces on the path Xetra.com / Technology / T7 trading architecture / System documentation / Release 7.0 / Market and Reference Data Interfaces Cash Market Member Section: In the Cash Market member section the instrument Reference Data File (T7 RDF) will be available on the following path: Xetra.com / Member Section / Cash Market Member Section / Cash Market Resources / Instruments For more information regarding the instrument reference data file, please refer to T7 Market & Reference Data Interfaces on the path: Xetra.com / Technology / T7 trading architecture / System documentation / Release 7.0 / Market and Reference Data Interfaces Instrument reference data on public website: Instrument reference data (asci file) will be available on public website xetra.com on the following path: Instruments > All tradable instruments Besides instrument reference data, csv-files will be generated which contains static information for each instrument. These will only be changed 1-2 times a year, for example order profiles and trading schedules. Major changes of the static files will be communicated in advance with sufficient lead-time. 6
3 Change Log Date Version 28.09.2018 1.0 Changes with T7 Rel. 7.0: Changes and additions in instrument reference data file on public website: Field VDO Minimum Executable Volume renamed to Pre- Trade LIS Value New field Tick Size Band New bond and warrant specific fields: o Security Sub Type o Issuer Mnemonic o Issue Date o Underlying o Maturity Date o Flat Indicator o Coupon Rate o Previous Coupon Payment Date o Next Coupon Payment Date o Pool Factor o Indexation Coefficient o Accrued Interest Calculation Method o Country Of Issue o Minimum Tradable Unit o In-Subscription o Strike Price New valid value in column Trading Model Type : ContinuousAuctionIssuer New valid values in column Instrument Type : o BOND = Bond o WAR = Warrant Changes and additions in static instrument reference data file. New Order Profiles: o Intraday Auction Market Order o Intraday Auction Limit Order o Issuer Model Market Order o Issuer Model Limit Order New attribute in Order Profile: o Intraday Auction Only New static file for T7 Entry Service: o YYYYMMDD_TESProfiles.csv 7
New static file for Security Sub Types: o YYYYMMDD_securitySubType.csv 8
4 Further reading The following documents provide additional information to complement this manual: T7 Market Model for the Trading Venue Xetra T7 Functional and Interface Overview T7 Functional Reference T7 Market Data & Reference Data Interfaces Manual Common Report Engine User Guide T7 Cash Markets Participant and User Maintenance Manual 9
5 Public website Formatting of the file The file is created in accordance with the following specifications: File extension Fields delimiter Decimal symbol Digit grouping symbols (thousands separator) CSV ; (semicolon). (point), (comma) The file name is T7 (XETR) All tradable instruments and will follow the pattern t7-xetr-alltradableinstruments.csv. Please note, when importing the file into a tool like, e.g. Excel or MS-Access, you have to make sure that the decimal character is configured accordingly, either in the tool itself or in the operation system, e.g. the Regional Settings in Windows. File Record Layout All fields listed below are sorted in the same order as shown in the instrument file. All data is provided in string format (Alphanumeric) delimited by semicolon. Line 1 provides the MIC of the market, e.g. Market: XETR Line 2 provides the date of the last update of the file, e.g. Date Last Update: 03.12.2018. Line 3 provides the column names listed below. The instrument reference data starts with line 4: Sequence Number Field name 1 Market Segment Status This field indicates whether the instrument is already tradable in T7. 2 Instrument Status Instrument Status Published = Instrument is not tradable on T7 Active = Instrument is tradable on T7 Active = Instrument is tradable on T7 3 Instrument Instrument description 4 ISIN ISIN of the instrument Pending deletion = Instrument will be deleted after a retention period 10
Sequence Number Field name 5 Product ID System generated identifier unique per market. Products usually provide access to instruments within the market that share common attributes such as market model and schedules. 6 Instrument ID System generated identifier unique per market. Note, that in case of product relation of 1:n (e.g. for ETPs) more than one Instrument ID may refer to the same Product ID. 7 WKN Wertpapierkennnummer 8 Mnemonic Instrument mnemonic 9 MIC Code MIC Code of the market 10 CCP eligible Code Indicator whether instrument is CCP eligible: Y = Instrument is CCP eligible N = Instrument is not CCP eligible 11 Trading Model Type Trading Model Types: Continuous = Continuous Trading with Auctions ScheduledIntradayAuction = One Auction AnyAuction = Multiple Auction ContinuousAuctionIssuer = Continuous Auction with Market Maker 12 Product Assignment Group Product Assignment Group, e.g. DAX1. 13 Product Assignment Group 14 Designated Sponsor Member ID of the Product Assignment Group. DS Member Member ID. For more than one DS, Member IDs are separated with #, the Member ID of the delegated member is separated with * at the end of the field. 15 Designated Sponsor DS Member long name. For more than one DS, members long names are separated with #, the members long name of the delegated member is separated with * at the end of the field. 16 Price Range Value Maximum allowable quote spread (absolute value). Conditionally provided if Price Range Percentage is absent. 17 Price Range Percentage Maximum allowable quote spread (percentage value). Conditionally provided if Price Range Value is absent. 18 Minimum Quote Size Market Making Parameter: Minimum Quote Size. 19 Instrument Type Instrument type: CS = Common stock / Equity ETF = Exchange Traded Funds ETN = Exchange Traded Notes ETC = Exchange Traded Commodities 11
Sequence Number Field name OTHER = Other BOND = Bond WAR = Warrant 20, 22, 24, 26, 28, 30, 32, 34, 36, 38, 40, 42, 44, 46, 48, 50, 52, 54, 56, 58 Tick Size (1-20) A tick size represents a limit price/range step. Twenty different tick sizes are possible for an instrument. 21 Upper Price Limit Max Maximum price for that instrument. Upper price limit max represents a limit range for which a tick size applies. 23, 25, 27, 29, 31, 33, 35, 37, 39, 41, 43, 45, 47, 49, 51, 53, 55, 57, 59 Upper Price Limit (2-20) 60 Number of Decimal Digits Displayed decimals Upper Price Limit represents a limit range for which a tick size applies. There are a total of twenty possible for an instrument. 61 Unit of Quotation The unit in which an instrument is quoted/stated when buying or selling, e.g. shares (number of items). 62 Market Segment This field indicates the type of Market Admission, e.g. Open Market, Regulated Market. 63 Market Segment Supplement This field indicates the market segment supplement, e.g. XTF Exchange Traded Funds. 64 Clearing Location Identifier for the location at which trades are cleared. 65 Primary Market MIC Code Market Identifier Code (ISO 10383) of the "home market", where the first IPO took place. 66 Reporting Market Market Identifier Code (ISO 10383) required for reporting to supervisory authority. 67 Settlement Period This field indicates the number of business days from trade execution after which settlement is to be effected. 68 Settlement Currency Currency used for settlement. 69 Closed Book Indicator Indicates whether the Order book is closed during auction trading. 70 Market Imbalance Indicator Controls if during auction call/volatility interruption/extended volatility interruption phase a surplus (side and volume) at the indicative price (if crossed order book) or the best bid/best ask limit and quantity (if uncrossed order book) is displayed to the market. 12
Sequence Number Field name 71 CUM/EX Indicator CUM/EX Indicator: 'C' = Cum Capital Adjustment or Dividend: Last trading day before a Capital Adjustment or Dividend. Orders will be deleted for the next trading day. 'E' = Ex Capital Adjustment or Dividend: First trading day after Capital Adjustment or Dividend. Open orders have been deleted before start of day. 72 Minimum Iceberg Total Volume Minimum Iceberg Total Volume 73 Minimum Iceberg Display Volume 74 EMDI Incremental A - Unnetted 75 EMDI Incremental A Unnetted Port 76 EMDI Incremental B Unnetted 77 EMDI Incremental B Unnetted Port 78 EMDI Snapshot A Unnetted 79 EMDI Snapshot A Unnetted Port 80 EMDI Snapshot B Unnetted 81 EMDI Snapshot B Unnetted Port 82 EMDI Market Depth Unnetted 83 EMDI Snapshot Recovery Time Interval - Unnetted Minimum Iceberg Display Volume (Peak) Incremental address for EMDI Unnetted multicast stream A. EMDI Port address A for EMDI Unnetted. Incremental address for EMDI Unnetted multicast stream B. Port address B for EMDI Unnetted. Snapshot address for EMDI Unnetted multicast stream A. EMDI Port address A for EMDI Unnetted. Snapshot address for EMDI Unnetted multicast stream B. EMDI Port address B for EMDI Unnetted. Market depth for EMDI Unnetted. Recovery interval (duration of one cycle). 84 EMDI Address A - Netted Incremental address for EMDI Netted multicast stream A. 85 EMDI Port A - Netted Port address A for EMDI Netted. 86 EMDI Address B - Netted Incremental address for EMDI Netted multicast stream B. 87 EMDI Port B - Netted Port address B for EMDI Netted. 88 EMDI Market Depth Netted 89 EMDI Market Depth Time Interval - Netted 90 EMDI Recovery Time Interval - Netted Market depth for EMDI Netted. Netting interval for low bandwidth feeds (0=no netting). Recovery interval (duration of one cycle). 13
Sequence Number Field name 91 EOBI Incremental A Address A for EOBI Incremental multicast stream (Order by Order). 92 EOBI Incremental Port A Port address A for EOBI Incremental. 93 EOBI Incremental B Address B for EOBI Incremental multicast stream. 94 EOBI Incremental Port B Port address B for EOBI Incremental. 95 EOBI Snapshot A Address A for EOBI Snapshot multicast stream. 96 EOBI Snapshot Port A Port address A for EOBI Snapshot multicast stream. 97 EOBI Snapshot B Address B for EOBI Snapshot multicast stream. 98 EOBI Snapshot Port B Port address B for EOBI Snapshot multicast stream. 99 Market Maker Member ID MemberID of the Xetra member admitted as a Market Maker according to MiFID II/MiFIR regulations. For more than one Market Maker, MemberIDs are separated with #. 100 Market Maker Long name of the Xetra member admitted as a Market Maker according to MiFID II/MiFIR regulations. For more than one Market Maker, members long names are separated with #. 101 Regulatory Liquid Instrument Indicates shares and exchange traded funds for which there is a liquid market as classified by the regulator. 102 Pre-Trade LIS Value This value is used as Minimum Execution Volume of the hidden part of a Volume Discovery Order. Furthermore, this value is the minimum trade volume of TES Type LIS. 103 BEST eligible Defines whether instrument is eligible for BEST trade: Y = Instrument is eligible for BEST N = Instrument is not eligible for BEST 104 Partition ID Partition ID of the product. The Partition ID does not change intraday. 105 Multi CCP-eligible This field indicates whether instrument is available for multiple CCP. Y = Instrument is multiple CCP eligible N = Instrument is not multiple CCP eligible Please note, that intraday change of this indicator will be communicated via newsboard messages. 106 Tick Size Band Tick Size Band information, e.g. in order to identify which ESMA tick size table apply for that instrument. Respective tick sizes are provided in the columns 20-59. 107 Security Sub Type Id of the short name of the Bond and Warrant subclassification. (Please refer to Chapter 6.8) 108 Issuer Mnemonic Code of the bond issuer (4 digits). 14
Sequence Number Field name 109 Issue Date The date on which a security was issued. 110 Underlying The code of the underlying of a warrant or a bond instrument. 111 Maturity Date Maturity Date of the bond or warrant. 112 Flat Indicator Indicator if accrued interest calculation and pool factor is taken into account, e.g. there is no accrued interest for flat bonds. Possible values are: NO_FLAT: Accrued interest calculation and pool factoring enabled FLAT: No accrued interest calculation, but pool factoring enabled XFLAT: No accrued interest calculation and no pool factoring enabled 113 Coupon Rate Coupon rate of the bond. Note, that intraday change of the Coupon rate will be published on the next Business Day. 114 Previous Coupon Payment Date The date of the previous coupon payment. 115 Next Coupon Payment Date The date for the next Coupon payment. 116 Pool Factor Current Pool Factor value. 117 Indexation Coefficient Coefficient factor of an inflation-linked bond. 118 Accrued Interest Calculation Method This field indicates the accrued interest calculation method of a bond. Following values according to FIX convention: 1 = 30/360 3 = 30/360M 6 = Act/360 7 = Act/365 (Fixed) 8 = Act/Act (AFB) 9 = Act/Act (ICMA) 11 = Act/Act (ISDA) 14 = Act/365L 119 Country Of Issue ISO Country code. The calculated accrued interest rate is rounded to the 12th decimal, except for the following country codes: FR 9th decimal IT 7th decimal PL 7th decimal HU 7th decimal 120 Minimum Tradable Unit This field indicates the Minimum Tradable Unit for a given instrument. 121 In-Subscription Indicator for subscription trading (primary market). Y = instrument in subscription trading. 122 Strike Price Strike Price of the warrant. 15
6 Static Files In order to reduce the data sent via RDI and the size of the files on the CRE and the Xetra website xetra.com, reference data that rarely change like order profiles or trading schedules will only be provided via static csv-files on the CRE, Cash Market Member Section and the Xetra website xetra.com. Members have to process both files. Major changes of the static files will be communicated in advance with sufficient lead-time. Beside of major changes, the files need to be processed whenever a new instrument is added to Xetra on T7. The files contain order profiles (e.g. Limit Order allowed) and trading schedules assigned to each Xetra instrument traded on the T7 platform as well as files for the descriptions of the Market Segment Supplements an instrument is assigned. Static files for Xetra will be available on the Xetra and Cash Market Website under the following path: xetra.com or deutsche-boerse-cash-market.com / Instruments / All tradable instruments The name of the zip-file will follow the pattern T7 (XETR) Static Instrument Reference Data <BusinessDay>. With: BusinessDay: format DD.MM.YYY Furthermore, the static file will be available on the Common Report Engine as a zip file. The file name will follow the pattern <MIC_EnvironmentNr>_<Name>_<ReportID>_<MemberID>_<BusinessDay>_<MIC>.zip With: MIC_Environtment number, i.e. 51 for production and 52 for simulation Name: always FIL ReportID: always RDF02 MemberID: always PUBLI BusinessDay: format YYYYMMDD MIC: MIC Code of the market, e.g. XETR Example: 51FILRDF02PUBLI20180328XETR.zip Formatting of the files Each csv-file will follow basic format rules. Every data record will be in one line; fields separated by a delimiter ;. 1. If a field is empty because it is optional and has no value, only the delimiter will be written into the csv-file. 2. The first row in the csv-file contains the column headers. 16
The file names will follow the pattern <YYYYMMDD>_<name>.csv. Order Profile T7 for Xetra categorizes orders according to Order Profiles. The exchange defines these order profiles and enables or disables them for individual products. An additional table is provided that gives the assignment of order profiles, per product and instrument type (Order Profile Assignment Table). The file name will have the pattern <YYYYMMDD>_orderProfiles.csv. Example: 20181203_orderProfiles.csv For additional information, please see the Order Profiles chapter of the Functional Reference document. The order profile table includes the following attributes: Field OrderProfileId Full Name Regular Stop TSO OCO Iceberg Limit Market OAO AOO CAO BOC IAO IOC Id of the Order Profile. Name of the Order Profile, e.g. Limit. Indicator, which defines whether the order type is a Regular Order (Limit + Market Order). Indicator whether Stop Orders are allowed. Indicates whether Trailing Stop Order is allowed. Indicator whether One-Cancels-the-Other Order is allowed. Indicator whether Iceberg order is allowed. Indicates whether a limit order can be entered for the order profile. Indicates whether market order can be entered for the order profile. Trading of the order is restricted to Opening Auction only. Trading of the order is restricted to Auction only. Trading of the order is restricted to Closing Auction only. Execution restriction Book-or-cancel is allowed. Trading of the order is restricted to Intraday Auction only. Execution restriction Immediate-or-cancel is allowed. 17
Field FOK GFD GTD/GTC VDO Execution restriction Fill-or-kill is allowed. Validity of the order is Good-For-Day. Validity of the order is Good-Till-Date. Indicates whether Volume Discovery Order is allowed. The layout of the order profile will be as follows (example values): OrderProfil eid Full Name Regular Stop TSO OCO Iceberg Limit Market OAO AOO CAO BCC IAO IOC FOK GFD GTD/GTC VDO 10 Y N N N N Y N N N Y N Y Y Y Y Y Y Limit 11 Market Y N N N N N Y N N N Y N Y Y Y Y N 12...... 13........ Order Profile Assignment The following table lists the order profiles assigned to each instrument. For additional information, please refer to the document T7 Functional Reference 1. The file name will have the pattern <YYYYMMDD>_orderProfileAssignment.csv. The order profile assignments table includes the following fields: Field Mnemonic ISIN InstrumentId OrderProfileId Mnemonic of the instrument. ISIN of the instrument. InstrumentId of the instrument. Id of the Order Profile. 1 Please refer to the Xetra website xetra.com under the following path: Technology / T7 trading architecture / T7 System documentation / Overview and Functionality. 18
The layout of the order profile is as following (example values): Mnemonic ISIN InstrumentId OrderProfileId BMW DE000519003 35245 10 BMW DE000519003 35245 11.. SIE DE0007236101 45258 10 SIE DE0007236101 45258 11.. Trading Schedules This file lists the trading schedules defined for all Xetra instruments. The reference to the instruments is possible via the identifier standardschedule. The file name will be <YYYYMMDD>_tradingSchedule.csv. The trading schedule file includes following fields: Field standardschedule event time Name of the trading schedule. Name of the event, e.g. Start Of Day. Time of the event. Only schedules for current business day (vs trading holiday) will be displayed. The file for customers look like as follows (example values): standardschedule Event Time SCHED_FFM_CT1_FULL Pre Trading 07:00:00 SCHED_FFM_CT1_FULL Opening Auction 08:50:00 SCHED_FFM_CT1_FULL Intraday Auction 13:15:00 SCHED_FFM_CT1_FULL Closing Auction 17:30:30 SCHED_FFM_CT2_FULL Pre Trading 07:30:00 SCHED_FFM_CT2_FULL Opening Auction 08:50:00...... 19
Trading Schedule Assignment The file Trading Schedule Assignment lists for all Xetra instruments the assigned trading schedule the instrument is following. The file name has the pattern <YYYYMMDD>_tradingScheduleAssignment.csv. The file includes the fields as below: Field InstrumentId standardschedule InstrumentId of an instrument. Name of the trading schedule. The standardschedule denotes the schedule that is valid for the instrument s current Business day. The layout of the file is as follows: InstrumentId standardschedule 35245 SCHED_FFM_CT1_FULL 45258 SCHED_FFM_CT1_FULL... Market Segment and Market Segment Supplement This file lists the Identifiers for the Market Segments and the Market Segment Supplements in order to provide the descriptions for them. The file contains all Market Segments and Market Segment Supplements of the market XETR. The file name has the pattern <YYYYMMDD>_marketSegment.csv. The file includes following fields: Field Content type Identifier Market Segment or Market Segment Supplement. Identifier of the Market Segment and Market Segment Supplement. Name of the Market Segment and Market Segment Supplement. 20
The layout of the file is as follows: Content type Identifier Market Segment 45 Regulated Market Prime Standard Market Segment 46 Regulated Market General Standard... Market Segment Supplement DEZ Exchange Traded Commodities (ETC) Market Segment Supplement DX8 Exchange Traded Notes (ETN).... TES Profiles This file contain the assignments of each product to TES Types LIS and OTC. The file name has the pattern <YYYYMMDD>_TESProfiles.csv. The file includes the fields as below: Field ProductSymbol TESType BrokerAllowed MaxParticipants PriceValidationRule Symbol of the product. For products with 1:1 relation the ISIN and for products with 1:n relation (e.g. ETP product) the name of the product will be provided. TES Types LIS and OTC: LIS = Large In Scale OTC = Over The Counter This flag defines whether TES Profile allows the entry, modification and deletion of TES trades by the user role TES Broker. 2 This field provides information about the maximum number of participants/tes approving users of one TES trade. The rule used for price validation of TES trades. The layout of the file is as follows: 2 For more information about TES roles, please refer to T7 Release 7.0 Participant and User Maintenance Manual. 21
ProductSymbol TESType BrokerAllowed MaxParticipants PriceValidationRule DE0005810055 LIS YES 2 CASH PRICE VAL DE0005810055 OTC YES 2 NO PRICE VAL ABC_ETF LIS YES 2 CASH PRICE VAL ABC_ETF OTC YES 2 NO PRICE VAL.... Security Sub Types This file contains the list of IDs used in the column Security Sub Type in the published csv file described in 5.2 with the corresponding descriptions. The file name has the pattern <YYYYMMDD>_securitySubType.csv. The file includes the fields as below: Field SecurityType SecuritySubTypeId Name Security Type (Instrument Type) Numeric identifier of the Bond and Warrant Type published in the column Security Sub Type. Short name of the Bond and Warrant sub-classification. of the Bond and Warrant sub-classification. The layout of the file is as follows: securitytype SecuritySubTypeId Name BON 1 ANL Anleihe, Standard Bond BON 2 ZER Zerobond WAR 4 CER CERTIFICATE 22